現金增資盈餘操弄與股市反應－理論與實證

本研究以台灣股票上市公司於1989年至2005年間，曾經進行現金增資之公司為實證對象，探討以下三個問題：(1)上市公司盈餘操弄與市場報酬之關係；(2)投資人是否會因盈餘操弄之財務資訊揭露，而有過度推斷(over-extrapolate)盈餘成長，從而導致增資前期會計報酬愈高，增資後期市場報酬愈低之現象；以及(3)股價是否會因為盈餘操弄，而有過度反應現象。研究結果發現：(1)上市公司操弄會計帳面價值證據愈強，則操弄過後之會計報酬對同期間市場報酬之解釋力愈低；(2)不論有沒有盈餘操弄，投資人不會有過度推斷公司過去盈餘成長的現象；(3)最後，本研究發現，不論有沒有盈餘操弄，在現金增資後，股價皆會受到市場雜訊或投資人對非公開訊息過度反應之影響，導致現金增資前期之帳面值對市值比對後期市場報酬呈顯著正向解釋關係。

關鍵字

盈餘操弄；現金增資；市場效率

並列摘要

In this paper, we use Taiwan listed companies undertaking seasoned equity offerings during 1989-2005 as empirical subject. The purposes of this paper are aimed at (1) Examining the relationship between firms earnings manipulation and current stock returns; (2) Exploring whether investors are led to over-extrapolate a firm's earnings growth along with the availability of its accounting information; and (3) Testing whether the market is over-react or not. We find that the accountings earnings of non-earning-manipulating firms have more explanatory power for their stock return variations in term of the P-value of our regression. In addition, we find that no matter the firms manipulate their earnings or not, the investors do not over-extrapolate a firm's earnings growth. Finally, we show that the stock prices of seasoned equity offerings firms would be influenced by market noise and investors over-reaction.